I can confirm with you (*) that normally the app which was installed first will be receiving the SMS, if both of them have same priority. But for GoSMS case, they are doing some thing more (together with setting priority at highest value 2147483647), which is unknown so far by many developers. If you make a search in Stackoverflow you will see that many people raised same question as yours.
(*) It is easy to check. I did make 2 different apps (but actually they are the same, only the names / packages are different) and installed them in different ways to compare. I did spend nearly a week just to observe.